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DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
 3 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
Our derivative assets and derivative liabilities are recorded at fair value and are included in “Derivative assets” and “Derivative liabilities” on our Condensed Consolidated Statements of Financial Condition. Cash flows related to our derivatives are included within operating activities on the Condensed Consolidated Statements of Cash Flows. The significant accounting policies governing our derivatives, including our methodologies for determining fair value, are described in Note 2 of our 2023 Form 10-K.

Derivative balances included on our financial statements

The following table presents the gross fair values and notional amounts of derivatives by product type, the amounts of counterparty and cash collateral netting on our Condensed Consolidated Statements of Financial Condition, as well as collateral posted and received under credit support agreements that do not meet the criteria for netting under GAAP.
December 31, 2023September 30, 2023
$ in millionsDerivative assetsDerivative liabilitiesNotional amountDerivative assetsDerivative liabilitiesNotional amount
Derivatives not designated as hedging instruments
Interest rate (1)
$377 $409 $17,861 $509 $576 $18,270 
Foreign exchange— 7 1,183 4 2 1,191 
Other— — 1,037 — — 608 
Subtotal377 416 20,081 513 578 20,069 
Derivatives designated as hedging instruments
Interest rate
6 — 1,225 8 — 1,200 
Foreign exchange
— 8 1,208 5 — 1,172 
Subtotal
6 8 2,433 13 — 2,372 
Total gross fair value/notional amount
383 424 $22,514 526 578 $22,441 
Offset on the Condensed Consolidated Statements of Financial Condition
Counterparty netting
(57)(57)(29)(29)
Cash collateral netting
(131)(57)(232)(59)
Total amounts offset
(188)(114)(261)(88)
Net amounts presented on the Condensed Consolidated Statements of Financial Condition
$195 $310 $265 $490 
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
Financial instruments
(81)— (131)— 
Total
$114 $310 $134 $490 

(1)Included to-be-announced security contracts that are accounted for as derivatives.

The following table details the losses included in accumulated other comprehensive loss (“AOCI”), net of income taxes, on derivatives designated as hedging instruments. These losses included any amounts reclassified from AOCI to net income during the period. See Note 16 for additional information.
 Three months ended December 31,
$ in millions20232022
Interest rate (cash flow hedges)$(21)$(2)
Foreign exchange (net investment hedges)(22)(14)
Total losses included in AOCI, net of taxes
$(43)$(16)

There were no components of derivative gains or losses excluded from the assessment of hedge effectiveness for each of the three months ended December 31, 2023 and 2022. We expect to reclassify $27 million of interest expense out of AOCI and into earnings within the next 12 months. The maximum length of time over which forecasted transactions are or will be hedged is four years.
The following table details the gains/(losses) on derivatives not designated as hedging instruments recognized on the Condensed Consolidated Statements of Income and Comprehensive Income. These amounts do not include any offsetting gains/(losses) on the related hedged item.
$ in millionsThree months ended December 31,
Location of gain/(loss)20232022
Interest rate
Principal transactions/other revenues$1 $6 
Foreign exchangeOther revenues$(33)$(30)
OtherPrincipal transactions$— $(1)

Risks associated with our derivatives and related risk mitigation

Credit risk

We are exposed to credit losses primarily in the event of nonperformance by the counterparties to derivatives that are not cleared through a clearing organization. Where we are subject to credit exposure, we perform a credit evaluation of counterparties prior to entering into derivative transactions and we continue to monitor their credit standings on an ongoing basis.  We may require initial margin or collateral from counterparties, generally in the form of cash or marketable securities to support certain of these obligations as established by the credit threshold specified by the agreement and/or as a result of monitoring the credit standing of the counterparties. We also enter into derivatives with clients, typically interest rate derivatives, to which either of our bank subsidiaries have provided loans. Such derivatives are generally collateralized by marketable securities or other assets of the client.

Interest rate and foreign exchange risk

We are exposed to interest rate risk related to certain of our interest rate derivatives. We are also exposed to foreign exchange risk related to our forward foreign exchange derivatives.  On a daily basis, we monitor our risk exposure on our derivatives based on established sensitivity-based and foreign exchange spot limits.

Derivatives with credit-risk-related contingent features

Certain of our derivative contracts contain provisions that require our debt to maintain an investment-grade rating from one or more of the major credit rating agencies or contain provisions related to default on certain of our outstanding debt. If our debt were to fall below investment-grade or we were to default on certain of our outstanding debt, the counterparties to the derivative instruments could terminate the derivative and request immediate payment, or demand immediate and ongoing overnight collateralization on our derivative instruments in liability positions. The aggregate fair value of all derivative instruments with such credit-risk-related contingent features that were in a liability position was $6 million as of December 31, 2023 and $3 million as of September 30, 2023.